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Risk Theory

  • Enseignant(s): H.Albrecher
  • Titre en français: Théorie du Risque
  • Cours donné en: anglais
  • Crédits ECTS: 6 crédits
  • Horaire: Semestre de printemps 2016-2017, 4.0h. de cours (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • Formation concernée: Maîtrise universitaire ès Sciences en sciences actuarielles

 

Objectifs

The goal of this course is to provide an introduction to risk theory, in particular how to describe and model insurance risk and the effects of aggregating risks, how to determine appropriate premiums for insurance risk and how to use mathematical and probabilistic tools to assess the solvency of an insurance corporation. It will also be discussed what forms of reinsurance are useful in insurance and what their effects are on various measures of safety and profitability of the insurance business.

Contenus

  • Individual Risk Model
  • Collective Risk Model
  • Premium Calculation
  • Ruin Theory
  • Reinsurance.

Références

N. Bowers, H. Gerber, J. Hickman, D. Jones and C. Nesbitt. Actuarial Mathematics, Society of Actuaries, Illinois 1986.

D. Dickson: Insurance Risk and Ruin. Cambridge University Press, 1999.

S. Klugman, H. Panjer, G. Willmot. Loss Models. Third Edition, Wiley, Hoboken, NJ, 2008.

T. Mikosch: Non-Life Insurance Mathematics. Springer 2008.

Pré-requis

A basic course on probability theory.

Evaluation

1ère tentative

Examen:
Ecrit 3h00 heures
Documentation:
Non autorisée
Calculatrice:
Autorisée avec restrictions
Evaluation:

Final exam (60%) + Mid-term exam (20%) + Class participation and take-home problems (20%)

Rattrapage

Examen:
Ecrit 3h00 heures
Documentation:
Non autorisée
Calculatrice:
Autorisée avec restrictions
Evaluation:

Retake exam (60%) + Mid-term exam (20%) + Class participation and take-home problems (20%)



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